Imho there is not much value in keeping that forever and it would be accaptable if some user may need to change the emedded urls. The plugin was deprecated in 2.10.0 over a year ago.
If we remove them, we should do it with a major release and I wouldn't wait for 4.0.

But should we really list all methods that had been removed a long time ago?

Yes let's list them all, as the Widget URL embed API was effectively broken it's important I feel to lay out changes we made. Ideally we'd just have to "Copy paste" the previous changelog entries where we would announce the 'url rewrites', but seems we didn't document it so far, so it will be the first time we document.